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The Effect of Bitcoin Prices on US Dollar Index Price

In: Advances in Time Series Data Methods in Applied Economic Research

Author

Listed:
  • I. Antoniadis

    (Western Macedonia University of Applied Sciences)

  • N. Sariannidis

    (Western Macedonia University of Applied Sciences)

  • S. Kontsas

    (Western Macedonia University of Applied Sciences)

Abstract

The purpose of this paper is to explore the effects of Bitcoin (crude oil) and financial (equity, gold and stock prices) markets on the US dollar index. A GJR-GARCH model is used to test these relationships for the period August 2010 to September 2016 using monthly data. The results suggest that bitcoin gold and stock prices (DSJI) affect negatively and statistically significantly the returns of the US dollar index. There is also some evidence that there is asymmetry in the bitcoin market and its relation with the US dollar index and that the latter could be considered as a possible safe haven for gold, stock and bitcoin.

Suggested Citation

  • I. Antoniadis & N. Sariannidis & S. Kontsas, 2018. "The Effect of Bitcoin Prices on US Dollar Index Price," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Time Series Data Methods in Applied Economic Research, chapter 0, pages 511-521, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-02194-8_34
    DOI: 10.1007/978-3-030-02194-8_34
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    Citations

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    Cited by:

    1. Maneejuk, Paravee & Kaewtathip, Nuttaphong & Jaipong, Peemmawat & Yamaka, Woraphon, 2022. "The transition of the global financial markets' connectedness during the COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    2. Ioannis ANTONIADIS & Stamatis KONTSAS & Konstantinos SPINTHIROPOULOS, 2019. "Blockchain and Brand Loyalty Programs: A Short Review of Applications and Challenges," International Conference on Economic Sciences and Business Administration, Spiru Haret University, vol. 5(1), pages 8-16, November.

    More about this item

    Keywords

    Cryptocurrency; Bitcoin; DSJI; Gold; US dollar index; GJR-GARCH;
    All these keywords.

    JEL classification:

    • F39 - International Economics - - International Finance - - - Other
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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